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Historically, the last trading day of October has been the strongest LTD of any month in the year. Since 1984 the market has on average risen 0.46% on the LTD of October, with positive returns in 69% of all years.

The following chart shows the FTSE 100 Index returns for every October LTD since 1984.

As can be seen on the chart the market only fell twice on the October LTD in the 19 years from 1984 to 2002. One possible reason for this may have been that November is the start of the strong six month period of the year (this is part of the Sell in May effect), and investors could have been buying equities at this time in anticipation of that.

However, in recent years this pattern of behaviour has changed. Quite dramatically so – in the last seven years the market has only risen once on the October LTD. Last year (2015) the FTSE 100 Index was down 0.5% on the last trading day of October.

The LTDs of months used to be stronger than average, but in recent years they have been weak. This is quite different from the first trading days of months which strongly out-perform the average for all days, and where the effect has strengthened in recent years.

Since 1984 the market has on average risen 0.47% on the LTD of October, with positive returns in 70% of all years, which makes it easily the strongest LTD of any month in the year.

However, as can be seen in the chart, the behaviour of the October LTD has changed markedly over time. For the 19 years from 1984 the market only fell twice on the October LTD; but in the 11 years since 2003 the market has only risen significantly on this day in three years.

The following chart shows the FTSE 100 Index returns for every October LTD since 1984.

Since 1984 the market has on average fallen 0.07% on the LTD of September, which makes it the second weakest LTD of the year. And returns have been positive in September since 1984 in only 43% of years.

Since 2000 the average change on the September LTD has been even weaker at -0.38%, the market has only risen three times in the last 14 years on the this day, making it the weakest LTD of all.

The following chart shows the FTSE 100 Index returns for every September LTD since 1984.